I never knew you could fail to found a pantheon/religion.
I neglected my faith production in the beginning and by the time I realised I had to increase my faith too many pantheons had been founded (despite there being 3 religions left to found)
As I was playing archipelago I went nearly 175 turns with faith, nothing to spend it on and no religions in my cities, it was only when the celtics eventually sent a missionary across and spread Christianity that I was finally able to spend my (1200) faith I had accumulated.